【作者】 吕佳；

【导师】 梁艳；

【作者基本信息】 大连理工大学 ， 金融学， 2008， 硕士

【摘要】 随着中国资本市场的发展,公司发行股票已成为公司融资的一种重要方式,而新股发行最重要的前提条件就是合理的发行价格的制定。股票发行市场的健康发展是整个股票市场有序发展的基础。因此,研究IPO股票上市价格的特征表现,探索一级、二级市场运行规律有着重要的现实意义。本文拟在前人关于新股发行定价的方法研究基础上,将采用灰色系统理论,以A股市场上市股票为研究对象,建立IPO定价的判别体系,以对公司股票发行定价的合理性及价格预测有着一定的指导意义。本文共分四个部分:第一部分,提出论文的研究背景及研究意义之后,对国内外相关文献加以综述;第二部分,分析对IPO价格可能产生影响的因素,并对现行的IPO定价方法进行比较,并找出它们的不足,提出本文的理论基础---灰色关联理论及灰色聚类理论在股票定价中的应用价值;第三部分,结合灰色关联理论和灰色聚类理论,建立沪市IPO市场定价判别体系;第四部分,对制造业中的汽车制造业板块及机械制造业板块进行实证,得到制造业行业IPO定价判别体系。第五部分,给出全文结论。论文的创新之处表现在两个方面:第一,分析了影响IPO定价的各项因素,并引入灰色关联理论,确定各因素与IPO价格之间的关联度,以及各因素的影响程度;第二,将灰色系统理论与判别体系的建立相结合,建立基于灰色理论的IPO定价判别体系,并对汽车制造业与机械制造业两类股票进行了实证研究。更多还原

【Abstract】 With the Chinese capital market’s development, issuing of shares becomes an important way for company’s floatation of loan, and the most important premise of issuing of shares is a reasonable price is worked out. The main character of new shares pricing is guided by market and following the rules of the market, the price of issuing of new shares is decided by the factors of the market. There are many methods for Initial Public Offering pricing studied by predecessor, but most of them just amended the fundamental pricing formula, and didn’t solve the problems in pricing thoroughly. Many scholars also studied the differentiate system of IPO pricing, but the methods are incompatible with the real life.Firstly, this paper described the history and actual state of IPO pricing, and then advanced the clew of establishing the pricing differentiate system,at last summarized the reaching state and methods for IPO.By summing and comparing all the pricing methods to find out their shortage, the grey system theory is educed. It is combined the grey relational theory with the grey cluster theory to set up differentiate system of IPO pricing. That is to say, firstly, use the grey relational theory to filtrate factors, secondly, use the grey relational cluster theory to cluster criterion, and then get the tidy cluster of influencing factor, finally, use the equal weight clustering system to establish the differentiate system of IPO pricing. Moreover, the differentiate system of IPO pricing is founded based on all the shares in Shanghai market from2002 to 2003, and the researching method of founding the differentiate system of IPO pricing with grey system is summarized.At last the differentiate system of IPO pricing in industry is got through giving a demonstration on auto industry and machine industry.The innovation of this paper:First, it analyses the influence factors of IPO issue price, and brings grey incidence theory into determine the degree of incidence between every factor and IPO issue price.Secondly, this paper established the differentiate system of IPO pricing according to the shares on the market in A share market adopted the grey system theory.更多还原